Dynamic Estimation: Kalman Filter and Square Root Filter

By Gilbert Strang - MIT

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Lecture Description

Course Description

This course provides a review of linear algebra, including applications to networks, structures, and estimation, Lagrange multipliers. Also covered are: differential equations of equilibrium; Laplace's equation and potential flow; boundary-value problems; minimum principles and calculus of variations; Fourier series; discrete Fourier transform; convolution; and applications.

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Source:MIT Open Courseware